?? yulewalker.m
字號(hào):
function a = YuleWalker(x, p, q);
%Yule-Walker算法估計(jì)x(n)的ARMA(p,q)模型參數(shù),返回e*(1+B)/(1+A)中的A
%L = 50; %L取值
L = p*2.5;
N = length(x);
for i=1:L
for j=1:p
R(i,j) = Rxx(x, q+i-j); % R@L+q
end
r(i) = Rxx(x, q+i); % r@L+q
end
a = -1*pinv(R)*r';
%test
% clear;
% close all;
% a = [1, -1.3817, 1.5632, -0.8843, 0.4096];
% b = [1, 0.3544, 0.3508, 0.1736, 0.2401];
% x = xx(a, b, 200, 256);
% arma_a = YuleWalker(x, 4, 4)
% arma_a2 = Yule_Walker(x, 4, 4)
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